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math
  • Member for 11 years
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7 votes

Downward Sloping Swap Spread Curve

1 vote
Accepted

Why is this utility function not picking up its penalty?

7 votes
Accepted

SABR Calibration: Normal vs Log-Normal Market Data

1 vote
Accepted

Book recommendation on robust optimization

2 votes
Accepted

How to derive equivalent martingale measure using Ito's Lemma

3 votes
Accepted

Time-zero price of two specific contingent claims

5 votes

Black--Scholes hedging argument

7 votes
Accepted

On short-rate-models: Black-Karasinski (with constant parameters) compared to Vasicek

1 vote
Accepted

Formula for variance of European call/put in Black Scholes

7 votes
Accepted

In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$?

4 votes
Accepted

Auto-correlation of GBM